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Access the data through the Twitter API in Datafeed Toolbox. You'll need credentials to access the API, which can be easily obtained by creating an application through Twitter.
Connect to FRED®, retrieve historical foreign exchange rates, and determine when the highest rate occurred.
Inspect a squared residual series for autocorrelation by plotting the sample autocorrelation function (ACF) and partial autocorrelation function (PACF). Then, conduct a Ljung-Box
Assess whether a time series is a random walk. It uses market data for daily returns of stocks and cash (money market) from the period January 1, 2000 to November 7, 2005.
Compute and plot the impulse response function for an autoregressive (AR) model. The AR ( p ) model is given by
Do goodness of fit checks. Residual diagnostic plots help verify model assumptions, and cross-validation prediction checks help assess predictive performance. The time series is
Estimate a multivariate time series model that contains lagged endogenous and exogenous variables, and how to simulate responses. The response series are the quarterly:
Test a univariate time series for a unit root. It uses wages data (1900-1970) in the manufacturing sector. The series is in the Nelson-Plosser data set.
Use arima to specify a multiplicative seasonal ARIMA model (for monthly data) with no constant term.
Specify a composite conditional mean and variance model using arima .
Conduct a likelihood ratio test to choose the number of lags in a GARCH model.
Calculate the required inputs for conducting a Lagrange multiplier (LM) test with lmtest . The LM test compares the fit of a restricted model against an unrestricted model by testing whether
Check whether a linear time series is a unit root process in several ways. You can assess unit root nonstationarity statistically, visually, and algebraically.
Estimate the parameters of a vector error-correction (VEC) model. Before estimating VEC model parameters, you must determine whether there are any cointegrating relations (see Test for
Apply both nonseasonal and seasonal differencing using lag operator polynomial objects. The time series is monthly international airline passenger counts from 1949 to 1960.
Generate data from a known model, specify a state-space model containing unknown parameters corresponding to the data generating process, and then fit the state-space model to the data.
Specify a conditional variance model for daily Deutschmark/British pound foreign exchange rates observed from January 1984 to December 1991.
Compare two competing, conditional variance models using a likelihood ratio test.
Calculate the required inputs for conducting a Wald test with waldtest . The Wald test compares the fit of a restricted model against an unrestricted model by testing whether the restriction
Simulate responses from a regression model with nonstationary, exponential, unconditional disturbances. Assume that the predictors are white noise sequences.
In this script we will produce a number of visuals for the simulated rates when using HW model.
Compute the unilateral credit value (valuation) adjustment (CVA) for a bank holding a portfolio of vanilla interest-rate swaps with several counterparties. CVA is the expected loss on an
An approach to modeling wrong-way risk for Counterparty Credit Risk using a Gaussian copula.
Illustrates how MATLAB® can be used to create a portfolio of interest-rate derivatives securities, and price it using the Black-Karasinski interest-rate model. The example also shows
Price Bermudan swaptions using interest-rate models in Financial Instruments Toolbox™. Specifically, a Hull-White one factor model, a Linear Gaussian two-factor model, and a LIBOR
Illustrates how the Financial Instruments Toolbox™ is used to create a Black-Derman-Toy (BDT) tree and price a portfolio of instruments using the BDT model.
Use ZeroRates for a zero curve that is hard-coded. You can also create a zero curve by bootstrapping the zero curve from market data (for example, deposits, futures/forwards, and swaps)
Price a swaption using the SABR model. First, a swaption volatility surface is constructed from market volatilities. This is done by calibrating the SABR model parameters separately for
Hedge the interest-rate risk of a portfolio using bond futures.
Price swaptions with negative strikes by using the Shifted SABR model. The market Shifted Black volatilities are used to calibrate the Shifted SABR model parameters. The calibrated
Price a single-name CDS option using cdsoptprice . The function cdsoptprice is based on the Black's model as described in O'Kane (2008). The optional knockout argument for cdsoptprice
Illustrates how the Financial Instruments Toolbox™ is used to price European vanilla call options using different equity models.
Price a European Asian option using six methods in the Financial Instruments Toolbox™. This example demonstrates four closed form approximations (Kemna-Vorst, Levy, Turnbull-Wakeman,
Price and calculate sensitivities for European and American spread options using various techniques. First, the price and sensitivities for a European spread option is calculated using
Simulate electricity prices using a mean-reverting model with seasonality and a jump component. The model is calibrated under the real-world probability using historical electricity
Different hedging strategies to minimize exposure in the Energy market using Crack Spread Options.
Price a swing option using a Monte Carlo simulation and the Longstaff-Schwartz method. A risk-neutral simulation of the underlying natural gas price is conducted using a mean-reverting
Model prepayment in MATLAB® using functionality from the Financial Instruments Toolbox™. Specifically, a variation of the Richard and Roll prepayment model is implemented using a two
Illustrates how the Financial Toolbox™ and Financial Instruments Toolbox™ are used to price a level mortgage backed security using the BDT model.
Use an underlying mortgage-backed security (MBS) pool for a 30-year fixed-rate mortgage of 6% to define a PAC bond, and then define a sequential CMO from the PAC bond. Analyze the CMO by
Use two different methods to calibrate the SABR stochastic volatility model from market implied Normal (Bachelier) volatilities with negative strikes. Both approaches use
This demo is an introduction to using MATLAB to develop and test a simple trading strategy using an exponential moving average.
This demo extends work done in AlgoTradingDemo1.m and adds an RSI technical indicator to the mix. Copyright 2010, The MathWorks, Inc. All rights reserved.
In AlgoTradingDemo3.m we saw how to add two signals together to get improved results using evolutionary learning. In this demo we'll use extend the approach to three signals: MA, RSI, and
In AlgoTradingDemo2.m we saw how to add two signals together to get improved results. In this demo we'll use evolutionary learning (genetic algorithm) to select our signals and the logic
DISCLAIMER: THE SAMPLE FILES ENCLOSED IN THIS DOWNLOAD ARE FOR ILLUSTRATION PURPOSES ONLY. USE THE INFORMATION CONTAINED IN THIS DOWNLOAD AT YOUR OWN RISK.
This script will demonstrate some simple examples related to creating, routing and managing orders from MATLAB via Bloomberg EMSX.
This demo shows how to profile your code to find the performance bottlenecks, or areas for improvement, as well as the capability to generate C-Code from MATLAB.
This demo uses our simple intraday moving average strategy to develop a trading system. Based on historical and current data, the decision engine decides whether or not to trade, and sends
This demo develops and tests a simple exponential moving average trading strategy. It encorporates obtaining data from the Bloomberg BLP datafeed and executing trades in EMSX, based on the
We seek to try out ga and patternsearch functions of the Genetic Algorithm and Direct Search Toolbox. We consider the unconstrained mean-variance portfolio optimization problem, handled
Copyright 2017-2017 The MathWorks, Inc.
The objective of this file is to load historical prices into MATLAB work space and store them in TimeTable format.
Plots gamma as a function of price and time for a portfolio of 10 Black-Scholes options.
Creates a three-dimensional plot showing how gamma changes relative to price for a Black-Scholes option.
Set up a basic asset allocation problem that uses mean-variance portfolio optimization with a Portfolio object to estimate efficient portfolios.
The following sequence of examples highlights features of the Portfolio object in the Financial Toolbox™. Specifically, the examples use the Portfolio object to show how to set up
Explores how to simulate correlated counterparty defaults using a multifactor copula model.
Simulate random portfolios with different distributions and compare their concentration indices. For illustration purposes, a lognormal and Weibull distribution are used. The
Compare the Merton model approach, where equity volatility is provided, to the time series approach.
Calculate capital requirements and value-at-risk (VaR) for a credit sensitive portfolio of exposures using the asymptotic single risk factor (ASRF) model. This example also shows how to
Sweep through a range of values for an existing exposure from 0 to double the current value and plot the corresponding values. This could be used as one criterion (among others) for assessing
Demonstrates techniques to calibrate a one-factor model for estimating portfolio credit losses using the creditDefaultCopula or creditMigrationCopula classes.
Work with consumer (retail) credit panel data to visualize observed default rates at different levels. It also shows how to fit a model to predict probabilities of default and perform a
Work with consumer (retail) credit panel data to visualize observed probabilities of default (PDs) at different levels. It also shows how to fit a Cox proportional hazards (PH) model, also
A value-at-risk (VaR) backtesting workflow and the use of VaR backtesting tools. For a more comprehensive example of VaR backtesting, see Value-at-Risk Estimation and Backtesting .
A common workflow for using a creditMigrationCopula object for a portfolio of counterparty credit ratings.
An expected shortfall (ES) backtesting workflow using the esbacktestbysim object. The tests supported in the esbacktestbysim object require as inputs not only the test data ( Portfolio ,
A common workflow for using a creditDefaultCopula object for a portfolio of credit instruments.
An expected shortfall (ES) backtesting workflow and the use of ES backtesting tools. The esbacktest class supports two tests -- unconditional normal and unconditional t -- which are based
Estimate the value-at-risk (VaR) using three methods, and how to perform a VaR backtesting analysis. The three methods are:
Create a connection to the IB Trader Workstation℠ and create a market order based on historical and current data for a security. You can also create orders for a different instrument, such as a